Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0564
Annualized Std Dev 0.2678
Annualized Sharpe (Rf=0%) 0.2107

Row

Daily Return Statistics

Close
Observations 3521.0000
NAs 1.0000
Minimum -0.1072
Quartile 1 -0.0074
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0082
Maximum 0.1566
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0169
Skewness 0.2155
Kurtosis 8.3259

Downside Risk

Close
Semi Deviation 0.0119
Gain Deviation 0.0124
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.6762
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0401
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0267
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2017-10-13 -0.6762 2506 267 2239
2018-01-29 2020-03-23 2020-10-12 -0.3391 682 541 141
2007-07-24 2007-08-16 2007-09-04 -0.1646 30 18 12
2021-02-18 2021-03-08 NA -0.1054 23 13 NA
2007-10-18 2007-10-19 2007-10-26 -0.0562 7 2 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA -0.3 -1.5 1.5 0.1 -1.2 3.3 2.7 -5.5 2.3 0.7 1.8
2008 2.5 -1.4 3 1.7 0.8 -1.2 0.5 -1.1 1.6 1.3 -6.3 1 2
2009 -0.7 -1.9 2.3 0.3 -0.9 2 0.4 -1.6 -2.4 -4.2 2.4 0.8 -3.7
2010 2.2 1.7 2.3 -1.4 -1.8 0.3 0.7 2.9 1.4 1.1 2.8 0.4 13.2
2011 1.5 -0.2 1.3 0.6 -1.1 1.3 0.4 -0.8 -3.8 -1.8 0 -0.4 -3
2012 1.8 0.5 1.1 0.6 -2.7 4.1 0.2 0.7 1 2.2 0.5 1.5 12
2013 0.8 -0.3 -1 -0.9 -1.9 0.4 1.8 0.9 2.1 0 0.9 0.5 3.2
2014 -0.3 -0.4 1 0.5 -0.6 1 0.7 0 -1.5 1.3 -1.5 0.1 0.2
2015 -2 0.2 0.9 0.7 0.2 0 0.2 -3.5 0.3 0.2 1.1 0.1 -1.6
2016 -0.8 2.9 0 -0.7 -0.3 0.6 0.3 0.5 0.6 -0.4 -1 -0.3 1.5
2017 0.3 1.2 -0.5 0.7 1 0.5 0.5 0.6 1 0.5 -0.8 0.6 5.6
2018 -1.2 0.2 1.4 -0.1 0.9 1.6 -0.6 0.3 -0.1 3.4 0.3 -0.6 5.4
2019 -0.6 0.5 1.1 -0.1 0.9 1.6 -2.1 0.5 -0.7 1.2 -1.5 0.3 0.7
2020 -2.1 -1.2 -4.3 -3.1 1.9 0.9 -0.3 1.5 1 -1.2 1.8 0 -5.2
2021 2.7 2.5 0.9 NA NA NA NA NA NA NA NA NA 6.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart